A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.

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1answer
230 views

Calculating Greeks in Covered Calls?

Just want to confirm whether Delta, Gamma, Theta, Vega will be calculated in the following way? Since we own 100 shares of stock while selling a call we need to subtract greek value from one? right? ...
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2answers
167 views

changes in open interest vs changes in underlying volume

Has a relationship been noted? Mostly, I'd like to know if the open interest increases on an underlying, does the underlying usually see increased trading? My guess would be "yes" since MMs can ...
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1answer
47 views

Delta formula for FX vanilla option

What value do you use for annual dividend yield? It does not apply in case of FX.
0
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1answer
29 views

Normal vol - convention

apologies for the simplicity of the question, but I was wondering: what is the quoting convention for normal (bps) volatility? Say I have the following time series of data: Date Close Abs Change ...
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1answer
84 views

What is the formula for beta weighted delta and gamma?

I am trying to calculate the beta weighted delta and gamma for a portfolio of options of different underlying stocks, but I can't seem to find the correct formula. Can someone point me to it or a ...
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2answers
142 views

Daily option data

I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ...
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1answer
81 views

Constructing Volatility Smile from Implied Volatility & Delta

I have implied volatility data for call and put options (expiring in 1 month from any given date) for a particular stock. In addition, I have the delta for the options. However, I have no information ...
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3answers
108 views

What is the effect of dividend yield being greater than the risk-free rate to American options pricing?

Even though dividends are discrete, literature often makes the assumption of continuous dividends (mostly in the case of indices but the individual stocks as well). The dividend yield denoted by q is ...
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1answer
160 views

Does Implied Volatility always exist?

I am considering a simple Heston Model Market with one risky and one riskless asset. The dynamics of the riskless asset is simply $dB_t=r*B_t*dt$ The dynamics of the risky asset is as follows, $ ...
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2answers
315 views

How can I calculate the strike price or implied volatility from a given delta?

I have calculated the implied volatility for all strikes of a certain product (options on futures) and approximated the ATM volatility. My question is how can I figure out the implied volatility for a ...
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votes
4answers
565 views

compute sharpe ratio for options?

Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ...
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1answer
366 views

Question about option theta

I have a question about a option theta. When I evaluate the option theta of near expiry put option using Black-Scholes formula given the data as follow: Index Level = 20,500 Strike Price = 20,000 ...
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1answer
267 views

Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]

Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...
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3answers
878 views

How to calculate return rates with negative prices?

I'm dealing with electricity options and I'm considering the possibilty of negative prices. I want two estimate the historic volatility. However, an arithmetic mean doesn't feel appropriate and ...
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votes
1answer
112 views

Symmetry of option-implied probability density

I was wondering whether the option implied probability density of the log returns: $x = \ln\left(\frac{S}{S_0}\right)$ with S the value of a certain stock, is always symmetric ? I was asking myself ...
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2answers
161 views

monthly contract volume required for penny increments?

Have the exchanges disclosed their criteria? Does anyone have a best guess based upon observations of volume (however you wish to define it)? Please no qualitative answers.
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votes
0answers
13 views

Exercise on American call option and dividends

Consider an americal Call option on an underlying paying dividends. Then it is often argued that it is only optimal to exercise right before the dividend is paid out, otherwise one will not exercise. ...
0
votes
1answer
46 views

Which interest rates to use for options pricing?

I am looking at the historical treasury interest rates and am uncertain which rates would be best to use for options pricing. Should I use 1 month, 6 month, 2 year? See: ...
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0answers
21 views

How to generate jump times in in Multilevel path simulation for jump-diffusion SDEs?

I am trying to generate jump times in in Multilevel path simulation for jump-diffusion SDEs using the following MATLAB code: I used following Algorithm in Yuan Xia paper: But I have not reached ...
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1answer
62 views

is Sum of P&L equal to portfolio value

For a portfolio containing FX options, would the sum of P&L for each option be the portfolio value?
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0answers
44 views

FX Delta Conventions

I'm currently reading Iain Clark's book Foreign Exchange Option Pricing and I got stuck at one sentence in the beginning of Section 3.3 that I feel is important to understand. He writes: FX ...
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0answers
33 views

Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing options

The asset-or-nothing European option pays at t = T the value of the stock when at time T that value exceeds or is equal to the exercise price E, and nothing if the value of the stock is below E. So, ...
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0answers
40 views

European style average price option Delta

I use a numerical method to calculate the value and Greeks of an European style average price option, e.g., with a given volatility, I simulate 1000 random walk price paths find the average value ...
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0answers
17 views

Residual maturity vol

The following question is probably (from a practical point of view) more relevant for EM markets which typically exhibit a more pronounced forward volatility compared to spot volatility. Say I buy a ...
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0answers
12 views

Option platforms providing eurex products

I search an option platform providing eurex products as eurostoxx 50. Can you advice me some platforms ? Thank you in advance for your answer Julien
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1answer
80 views

Moneyness and option prices

I'm attaching stock prices from CRSP to a dataset of option prices in order to compute the option moneyness. I'm wondering whether I should adjust the underlying prices taking into account splits and ...
0
votes
0answers
26 views

Value of a portfolio with a collar option and shares as function of a log return …?

I could use some help with a question I've been stuck with. It's stated as follows, A private investor owns a large quantity of shares of a single stock and is worried about the position being too ...
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1answer
48 views

finding the strike / maturity of warrants given their ISINs

I have a list of French traded warrants identified by their ISINs. I do not know, however, to which stock they refer and what is their strike/maturity. Which datasets allow me to retrieve this ...
0
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1answer
31 views

negative probabilities in the bivariate tree heston model

I am trying to implement the bivariate tree approach for the Heston model by Beliavea & Nawalkha. I currently have the problem that given the specifications in their examples, I always obtain ...
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0answers
30 views

Define some finance terminology for me, please. Live options vs. crossed options

What is a "live" option vs. a "crossed" option? Does a cross option just mean that it is hedged? If someone is buying an option and says "I want to buy a November 5.00 (strike price) put cross at ...
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0answers
44 views

Position Strength: Leveraged vs. Non-Levered

Is there some sort of metric or formula for bull/long strength in a market based on % of shorts/longs on margin, and perhaps even the size of that leverage? I ask because I participate in BTC (which ...
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0answers
57 views

Negative Risky vs Negative Butterfly

I understand that in regard to FX options, a volatility smile with negative Risk Reversals is effectively indicating that the spot market for a given currency pair is in decline (puts over). In ...
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votes
1answer
32 views

Common point between IR and Vol option pricing models?

What is the common point between pricing models on options on Interest Rates and options on Volatility?
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0answers
76 views

Option payoffs and replicating payoffs

I've come across the below question which has no answers to it and I was hoping someone could provide some help. I know it quite a long question and I appreciate any help with this. An investment ...
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votes
0answers
48 views

Is it possible to graph the option price with respect to the greeks

Is it possible to graph a European option's price as a function of say, its delta? I've been wondering this since, for example, for a call, the option price is given by $$Se^{-q*t}\Phi (d_1) - ...
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0answers
136 views

What are the theta and vega of a forward starting plain vanilla european option with no dividend?

I am reading through Hull's book asking myself this question to understand exotics. I currently believe that theta should equal 0 until the forward start time, $t_*$, if the call pays no dividends. ...
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0answers
145 views

Monte Carlo American Option Pricing under GARCH(1,1) volatitliy

I am attempting to price a couple of at-the-money American option using the LSM algorithm and GARCH(1,1) volatility. The LSM code I have works correctly for constant volatility, however, when I switch ...
0
votes
1answer
192 views

Distinguish between market makers and other participants?

Are there any known quantitative techniques to distinguish between market makers and other participants? I manually MFT, have no knowledge of these specialties, and may be observing phenomena that ...
0
votes
1answer
326 views

Risk-free investment strategy for european call and put option

I have some trouble solving the following question: We have an european call and put option (with the same maturity date $T$ en strike $E=10$). The stock price now is $S=11$ and we use a continuous ...
0
votes
1answer
198 views

How to construct the binomial model for European option?

The annual interest rate is 5.3% and the annualized volatility of a non-dividend paying stock over the next six months will be 12.5% (annualized). i) Construct binomial trees of 5, 10 and 30 periods ...
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votes
1answer
120 views

Physical Option Implied Distribuition

So I got risk neutral probabilities from stock option prices. How can I then map them to a physical measure?
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votes
0answers
124 views

“Real” DMA to Options Markets

I'm looking for a broker with DMA to large options markets (CME, ISE, CBOE). Broker should be HFT friendly, i.e. offer fast API, low fees for huge amount of trades and so on. Price is not an issue. ...
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0answers
207 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
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0answers
27 views

explanation for preference of volatilities in option premium quotes [duplicate]

could any one suggest an explanation for why premium in option markets (currency or otherwise) are quoted as volatilities rather than (premium/abs(spot price - settlement price)) or some other ...
-1
votes
1answer
48 views

Is the price of a binary call not monotonous with vol for OTM

Is this true and how would you prove it
-1
votes
1answer
186 views

Option pricing within the Black Scholes model

Have a question regarding regular option pricing. In the standard Black-Scholes model, with interest r and volatility $\sigma$. Determine the arbitrage free price at t of an option which at $T>t$ ...
-1
votes
1answer
52 views

European Option Technical Exercise

I like to ask a practical question regarding the exercise of European Options: As we know, one may exercise a European option only at maturity $T$. But for example, if the option can be exercised ...
-1
votes
0answers
28 views

How much less likely is a stop loss to be touched/hit after increasing expected return?

Firstly, let's say we have a stock ABC currently trading at $100.00 that has: (A) an expected return of 0% per year and (B) standard deviation of 20% per year Given these stats, the stock has a 50% ...
-1
votes
0answers
32 views

How to calculate implied volatility of an american call option in excel VBA?

I am looking for a macro which calculates the implied volatility of an american option in excel. My approach is to use secant method with lower bound of zero and upper bound as IV of european call ...
-4
votes
1answer
706 views

Show that convexity of call price as a function of the strike is violated [closed]

European call options with strikes 90, 100 and 110 on the same underlying asset and with the same maturity are trading for 22.50, 18.84 and 13.97 respectively. show that the convexity of the call ...